Regime classification and stock loan valuation
Year of publication: |
2020
|
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Authors: | Cai, Ning ; Zhang, Wei |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 68.2020, 4, p. 965-983
|
Subject: | regime classification | stock loans | perpetual American options | optimal stopping times | regime-switching exponential Lévy models | regime-switching phase-type jump diffusion models | Suchtheorie | Search theory | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
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